NYSE Arca disseminates full depth-of-book data for their exchange through their Integrated Feed, which Databento receives over UDP multicast in our NY4 data center.

The Integrated Feed Client Specification is available as a PDF from NYSE's website.

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Timestamps

NYSE Arca messages received by Databento will generally include two timestamps with nanosecond precision. As with all of our datasets, we also collect a ts_recv timestamp when the packet was received by our capture server.

Databento Field	Pillar Field	Description
`ts_recv`	N/A	The capture-server-received timestamp.
`ts_event`	SourceTime	The matching-engine-received timestamp.
`ts_in_delta`	SendTime (Common)	The matching-engine-sending timestamp.

More details about our timestamps are available in our timestamping guide.

Statistics

Databento provides Opening Price, Closing Price and Uncrossing Price statistics, normalized from the Cross Trade message. These statistics have the auction uncrossing price and quantity for the respective event.

Imbalance normalization

NYSE Arca provides information about opening and closing cross imbalances in their Imbalance message. Databento normalizes each message into a record in the imbalance schema.

Databento Field	Pillar Field	Description
`ref_price`	ReferencePrice	The price at which imbalance shares are being calculated.
`auction_time`	AuctionTime	The projected auction time, with second precision.
`cont_book_clr_price`	ContinuousBookClearingPrice	Hypothetical auction-clearing price for cross and continuous orders.
`auct_interest_clr_price`	AuctionInterestClearingPrice	The price at which all eligible auction-only interest would trade, subject to auction collars.
`ind_match_price`	IndicativeMatchPrice	The price at which the highest number of shares would trade, subject to auction collars. It includes the non-displayed quantity of Reserve Orders.
`upper_collar`	UpperCollar	Upper auction collar.
`lower_collar`	LowerCollar	Lower auction collar.
`paired_qty`	PairedQty	The number of shares paired off at the `ind_match_price`.
`total_imbalance_qty`	TotalImbalanceQty	The total imbalance quantity at the `ind_match_price`.
`market_imbalance_qty`	MarketImbalanceQty	The total market order imbalance quantity at the `ind_match_price`.
`auction_type`	AuctionType	The type of cross: O: Early opening, M: Core opening, H: Halt resume, C: Closing.
`side`	ImbalanceSide	The market side of the order imbalance: Bid (buy) imbalance, Ask (sell) imbalance, No imbalance.
`auction_status`	AuctionStatus	0: Will run as always for Open and Close. 1: Will run, interest exists inside or at the collars or is fully paired off. 2: Will not run because there is an imbalance through the collars. 3: Will not run, will transition to the Closing Auction instead.
`freeze_status`	FreezeStatus	0: Imbalance freeze not in effect. 1: Imbalance freeze is in effect.
`num_extensions`	NumExtensions	Number of times the halt period has been extended.
`significant_imbalance`	SignificantImbalance	Indicates whether the current imbalance is significant. Y when significant, ' ' otherwise.